There are (as you might expect), several ways. Probably the easiest is to use Explorer; right click where you want the subfolder and select "New Folder" from the menu that appears.
A directory is the same as a folder. Go to Start>My Computer> go to the folder you want to make a directory in>click "New Folder" at the top of the screen (or right click and go to...
Directories is a term not frequently used any more. The term more commonly used today are folders. They are the same thing however. Back in the days of ms-dos, files were stored in directories.